Boundedness of the Optimal State Estimator Rejecting Unknown Inputs

The Kitanidis filter is a natural extension of the Kalman to systems subject arbitrary unknown inputs or disturbances. Though optimality was founded for general time varying more than 30 years ago, its boundedness and stability analysis still limited time-invariant systems, up authors’ knowledge. In framework this article establishes upper lower bounds error covariance filter, as well all auxiliary variables involved in filter. By preventing data overflow, are crucial recursive algorithms real-time applications. will also serve basis analysis, such case time-varying system